Initial Margin and Derivative Pricing
Understanding how the requirements on margins will impact the pricing of derivatives, impact on counterparty credit risk and challenge operational process and procedures
11-12 Sep 2017
- Why You Should Attend
Initial Margin and Derivative Pricing
To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.
How will you benefit?
· You will gain an insight into the increasingly important role of Initial Margin has in the management and pricing of OTC Derivatives.
· A worked example of the ISDA SIIM method will demonstrate how this model calculates Initial Margin.
· Have a comprehension of the issues surrounding the implementation of a bilateral initial margin framework.
· Be able to able to appreciate the costs when trading bilaterally verses trading on a CCP.
· Understanding how MVA is priced and how this can be applied to the Inter-CCP basis (LCH/CME basis).
About your expert trainer:
Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping it clients with some of the more complex issues that they face today, such OIS discounting, FVA, CVA/DVA and quantitative impacts of regulatory.
Ben came to the Maroon business with 20+ working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quant function for RBS and before that the local head of Quant at ABN AMRO Australia. He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank.
Since starting his own consultancy he has developed a number of industry training courses that have been run in Australia, New Zealand, Singapore and Taiwan. His courses include OIS Discounting, Counterparty Credit and CVA, Funding, Liquidity and FVA, Interest Rate Options and Stress Testing, Initial Margin and MVA, The Fundamental Review of the Trading Book and VaR.
A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.
Who should attend?
· Traders who need to understand the pricing implication of the IM Requirements
· Collateral Management Staff who will be impacted by the IM Requirements
· XVA Desk Staff who need to understand the rising importance of MVA
· Trading Management who need to understand how the trading landscape will change.
· Market and Credit Risk Practitioners who need to understand how the risk to a financial institution will change.
· IT Managers and Developers who are working on Initial Margin related projects.
· Quantitative Analysts who need to understand how the IM and MVA will impact pricing and risk measurements.
· Regulatory Risk, Risk Governance and Compliance personnel who will oversee the implementation and operational aspects of the IM Requirements.
- Why Choose GFMI marcus evans?
marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.
Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.
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- Event Contact
For all enquiries regarding speaking, sponsoring and attending this conference contact:
101 Finsbury Pavement
London EC2A 1RS
Telephone: +44 (0) 20 3002 3400
Fax: +44 (0) 20 3002 3016